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Martingale Neural Operators learn stochastic marginals via Doob-Meyer factorization

Researchers have developed a new neural operator architecture called Martingale Neural Operator (MNO) designed to handle stochastic partial differential equations (SPDEs). Unlike existing deterministic operators that collapse to a conditional mean, MNO leverages the Doob-Meyer theorem to directly map initial conditions to the conditional mean and covariance of the terminal law. This approach allows for efficient uncertainty quantification by recovering variance and tail structure, outperforming a conditional diffusion baseline in terms of Wasserstein distance and speed. AI

IMPACT Introduces a novel neural operator architecture for improved handling of stochastic systems, potentially advancing uncertainty quantification in scientific modeling.

RANK_REASON The cluster contains a new academic paper detailing a novel model architecture. [lever_c_demoted from research: ic=1 ai=1.0]

Read on arXiv cs.LG →

AI-generated summary · Google Gemini · from 1 sources. How we write summaries →

Martingale Neural Operators learn stochastic marginals via Doob-Meyer factorization

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The cluster contains a new academic paper detailing a novel model architecture. [lever_c_demoted from research: ic=1 ai=1.0]
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COVERAGE [1]

  1. arXiv cs.LG TIER_1 English(EN) · Kai Hidajat ·

    Martingale Neural Operators: Learning Stochastic Marginals via Doob-Meyer Factorization

    Neural operators excel as deterministic surrogates, but inevitably collapse to the conditional mean when applied to stochastic PDEs, discarding the variance and tail structure upon which uncertainty quantification depends. Recovering this structure typically requires Monte Carlo …